Essentials of Investments.Estimating the Index Model Using
Historical Data.Reference:ISBN9781259255045.page173
(Some data is calculated by me, if there are any mistakes,
please help me to correct it, thank you)
Excess Return | |||||||||||||||
DATE | ABC | Return Rate | XYZ | Return Rate | Mkt. Index | Return Rate | ` | Risk Free | ABC | XYZ | Market | ||||
2009/12/25 | 23.17 | 13.22 | 3141.35 | 0.000433 | |||||||||||
2009/12/31 | 25.52 | 0.0966 | 13.82 | 0.0444 | 3277.14 | 0.0423 | 0.000433 | 0.0962 | 0.0440 | 0.0419 | |||||
2010/1/8 | 28.13 | 0.0974 | 13.45 | -0.0271 | 3196 | -0.0251 | 0.000435 | 0.0969 | -0.0276 | -0.0255 | |||||
2010/1/15 | 28.59 | 0.0162 | 13.78 | 0.0242 | 3224.15 | 0.0088 | 0.000441 | 0.0158 | 0.0238 | 0.0083 | |||||
2010/1/22 | 27.32 | -0.0454 | 13.53 | -0.0183 | 3128.59 | -0.0301 | 0.000446 | -0.0459 | -0.0188 | -0.0305 | |||||
2010/1/29 | 26.05 | -0.0476 | 13.08 | -0.0338 | 2989.29 | -0.0455 | 0.000449 | -0.0480 | -0.0343 | -0.0460 | |||||
2010/2/5 | 26.33 | 0.0107 | 12.71 | -0.0287 | 2939.4 | -0.0168 | 0.000449 | 0.0102 | -0.0291 | -0.0173 | |||||
2010/2/12 | 26.56 | 0.0087 | 13.01 | 0.0233 | 3018.13 | 0.0264 | 0.000451 | 0.0082 | 0.0229 | 0.0260 | |||||
2010/2/26 | 26.58 | 0.0008 | 13 | -0.0008 | 3051.94 | 0.0111 | 0.000452 | 0.0003 | -0.0012 | 0.0107 | |||||
2010/3/5 | 27.31 | 0.0271 | 12.8 | -0.0155 | 3031.07 | -0.0069 | 0.000452 | 0.0266 | -0.0160 | -0.0073 | |||||
2010/3/12 | 27.25 | -0.0022 | 12.82 | 0.0016 | 3013.41 | -0.0058 | 0.000452 | -0.0027 | 0.0011 | -0.0063 | |||||
2010/3/19 | 27.71 | 0.0167 | 12.86 | 0.0031 | 3067.75 | 0.0179 | 0.000452 | 0.0163 | 0.0027 | 0.0174 | |||||
2010/3/26 | 26.31 | -0.0518 | 12.77 | -0.0070 | 3059.72 | -0.0026 | 0.000452 | -0.0523 | -0.0075 | -0.0031 | |||||
2010/4/2 | 26.37 | 0.0023 | 12.98 | 0.0163 | 3157.96 | 0.0316 | 0.000452 | 0.0018 | 0.0159 | 0.0312 | |||||
2010/4/9 | 26.16 | -0.0080 | 12.81 | -0.0132 | 3145.35 | -0.0040 | 0.000454 | -0.0084 | -0.0136 | -0.0045 | |||||
2010/4/16 | 26.32 | 0.0061 | 13.04 | 0.0178 | 3130.3 | -0.0048 | 0.000454 | 0.0056 | 0.0173 | -0.0053 | |||||
2010/4/23 | 23.06 | -0.1322 | 12.25 | -0.0625 | 2983.54 | -0.0480 | 0.000455 | -0.1327 | -0.0630 | -0.0485 | |||||
2010/4/30 | 20.04 | -0.1404 | 12.1 | -0.0123 | 2870.61 | -0.0386 | 0.000455 | -0.1408 | -0.0128 | -0.0390 | |||||
2010/5/7 | 17.83 | -0.1168 | 11.04 | -0.0917 | 2688.38 | -0.0656 | 0.000455 | -0.1173 | -0.0921 | -0.0660 | |||||
2010/5/14 | 17.65 | -0.0101 | 11.15 | 0.0099 | 2696.63 | 0.0031 | 0.000456 | -0.0106 | 0.0095 | 0.0026 | |||||
2010/5/21 | 16.24 | -0.0833 | 10.84 | -0.0282 | 2583.52 | -0.0429 | 0.000455 | -0.0837 | -0.0287 | -0.0433 | |||||
2010/5/28 | 16.65 | 0.0249 | 10.96 | 0.0110 | 2655.77 | 0.0276 | 0.000464 | 0.0245 | 0.0105 | 0.0271 | |||||
2010/6/4 | 16.28 | -0.0225 | 10.61 | -0.0325 | 2553.59 | -0.0392 | 0.000476 | -0.0229 | -0.0329 | -0.0397 | |||||
2010/6/11 | 16.37 | 0.0055 | 10.69 | 0.0075 | 2569.94 | 0.0064 | 0.000481 | 0.0050 | 0.0070 | 0.0059 | |||||
2010/6/18 | 15.77 | -0.0373 | 10.58 | -0.0103 | 2513.2 | -0.0223 | 0.000486 | -0.0378 | -0.0108 | -0.0228 | |||||
2010/6/25 | 15.91 | 0.0088 | 10.71 | 0.0122 | 2552.82 | 0.0156 | 0.000494 | 0.0083 | 0.0117 | 0.0151 | |||||
2010/7/2 | 15.23 | -0.0437 | 10.33 | -0.0361 | 2382.9 | -0.0689 | 0.000502 | -0.0442 | -0.0366 | -0.0694 | |||||
2010/7/9 | 15.46 | 0.0150 | 10.53 | 0.0192 | 2470.92 | 0.0363 | 0.000503 | 0.0145 | 0.0187 | 0.0358 | |||||
2010/7/16 | 15.03 | -0.0282 | 10.21 | -0.0309 | 2424.27 | -0.0191 | 0.000503 | -0.0287 | -0.0314 | -0.0196 | |||||
2010/7/23 | 16.32 | 0.0823 | 10.55 | 0.0328 | 2572.03 | 0.0592 | 0.000503 | 0.0818 | 0.0323 | 0.0587 | |||||
2010/7/30 | 17.18 | 0.0514 | 10.71 | 0.0151 | 2637.5 | 0.0251 | 0.000502 | 0.0509 | 0.0145 | 0.0246 | |||||
2010/8/6 | 17.21 | 0.0017 | 10.67 | -0.0037 | 2658.39 | 0.0079 | 0.000503 | 0.0012 | -0.0042 | 0.0074 | |||||
2010/8/13 | 15.92 | -0.0779 | 10.32 | -0.0334 | 2606.7 | -0.0196 | 0.000503 | -0.0784 | -0.0339 | -0.0201 | |||||
2010/8/20 | 15.91 | -0.0006 | 10.42 | 0.0096 | 2642.31 | 0.0136 | 0.000505 | -0.0011 | 0.0091 | 0.0131 | |||||
2010/8/27 | 15.45 | -0.0293 | 10.31 | -0.0106 | 2610.74 | -0.0120 | 0.000506 | -0.0298 | -0.0111 | -0.0125 | |||||
2010/9/3 | 15.24 | -0.0137 | 10.24 | -0.0068 | 2655.39 | 0.0170 | 0.000508 | -0.0142 | -0.0073 | 0.0164 | |||||
2010/9/10 | 15.28 | 0.0026 | 10.18 | -0.0059 | 2663.21 | 0.0029 | 0.000509 | 0.0021 | -0.0064 | 0.0024 | |||||
2010/9/17 | 14.7 | -0.0387 | 9.98 | -0.0198 | 2598.69 | -0.0245 | 0.000511 | -0.0392 | -0.0204 | -0.0250 | |||||
2010/9/21 | 14.62 | -0.0055 | 9.99 | 0.0010 | 2591.55 | -0.0028 | 0.000512 | -0.0060 | 0.0005 | -0.0033 | |||||
2010/9/30 | 14.19 | -0.0299 | 10.18 | 0.0188 | 2655.66 | 0.0244 | 0.000515 | -0.0304 | 0.0183 | 0.0239 | |||||
2010/10/8 | 14.87 | 0.0468 | 10.47 | 0.0281 | 2738.74 | 0.0308 | 0.000515 | 0.0463 | 0.0276 | 0.0303 | |||||
2010/10/15 | 17.79 | 0.1793 | 11.55 | 0.0982 | 2971.16 | 0.0815 | 0.000516 | 0.1788 | 0.0977 | 0.0809 | |||||
2010/10/22 | 17.59 | -0.0113 | 11.12 | -0.0379 | 2975.04 | 0.0013 | 0.000551 | -0.0119 | -0.0385 | 0.0008 | |||||
2010/10/29 | 17.67 | 0.0045 | 11.19 | 0.0063 | 2978.84 | 0.0013 | 0.000562 | 0.0040 | 0.0057 | 0.0007 | |||||
2010/11/5 | 18.67 | 0.0550 | 11.99 | 0.0691 | 3129.5 | 0.0493 | 0.000564 | 0.0545 | 0.0685 | 0.0488 | |||||
2010/11/12 | 16.43 | -0.1278 | 12.54 | 0.0449 | 2985.44 | -0.0471 | 0.000570 | -0.1284 | 0.0443 | -0.0477 | |||||
2010/11/19 | 15.6 | -0.0518 | 11.28 | -0.1059 | 2888.57 | -0.0330 | 0.000573 | -0.0524 | -0.1065 | -0.0336 | |||||
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